Vaughan Nelson Value Fund Market Value
| VNVCX Fund | USD 26.07 0.17 0.66% |
| Symbol | Vaughan |
Vaughan Nelson 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Vaughan Nelson's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Vaughan Nelson.
| 01/07/2024 |
| 12/02/2024 |
If you would invest 0.00 in Vaughan Nelson on January 7, 2024 and sell it all today you would earn a total of 0.00 from holding Vaughan Nelson Value or generate 0.0% return on investment in Vaughan Nelson over 330 days. Vaughan Nelson is related to or competes with Massmutual Premier, Principal Lifetime, Legg Mason, T Rowe, Blackrock, Adams Diversified, and Davenport Small. The fund will invest at least 80 percent of its net assets in companies that, at the time of purchase, have market capit... More
Vaughan Nelson Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Vaughan Nelson's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Vaughan Nelson Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7485 | |||
| Information Ratio | 0.1229 | |||
| Maximum Drawdown | 5.34 | |||
| Value At Risk | (1.11) | |||
| Potential Upside | 2.03 |
Vaughan Nelson Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vaughan Nelson's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vaughan Nelson's standard deviation. In reality, there are many statistical measures that can use Vaughan Nelson historical prices to predict the future Vaughan Nelson's volatility.| Risk Adjusted Performance | 0.2027 | |||
| Jensen Alpha | 0.2446 | |||
| Total Risk Alpha | 0.0841 | |||
| Sortino Ratio | 0.1622 | |||
| Treynor Ratio | 7.2 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vaughan Nelson's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Vaughan Nelson Value Backtested Returns
Vaughan Nelson appears to be very steady, given 3 months investment horizon. Vaughan Nelson Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.26, which indicates the fund had a 0.26% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Vaughan Nelson Value, which you can use to evaluate the volatility of the fund. Please review Vaughan Nelson's Risk Adjusted Performance of 0.2027, coefficient of variation of 381.29, and Semi Deviation of 0.3511 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 0.0346, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vaughan Nelson's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vaughan Nelson is expected to be smaller as well.
Auto-correlation | 0.25 |
Poor predictability
Vaughan Nelson Value has poor predictability. Overlapping area represents the amount of predictability between Vaughan Nelson time series from 7th of January 2024 to 20th of June 2024 and 20th of June 2024 to 2nd of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Vaughan Nelson Value price movement. The serial correlation of 0.25 indicates that over 25.0% of current Vaughan Nelson price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 1.85 |
Vaughan Nelson Value lagged returns against current returns
Autocorrelation, which is Vaughan Nelson mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Vaughan Nelson's mutual fund expected returns. We can calculate the autocorrelation of Vaughan Nelson returns to help us make a trade decision. For example, suppose you find that Vaughan Nelson has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Vaughan Nelson regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Vaughan Nelson mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vaughan Nelson mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vaughan Nelson mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vaughan Nelson Lagged Returns
When evaluating Vaughan Nelson's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vaughan Nelson mutual fund have on its future price. Vaughan Nelson autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Vaughan Nelson autocorrelation shows the relationship between Vaughan Nelson mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vaughan Nelson Value.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Vaughan Mutual Fund
Vaughan Nelson financial ratios help investors to determine whether Vaughan Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Vaughan with respect to the benefits of owning Vaughan Nelson security.
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